Try This..,
Make a database Query with relations which tables you want like..,
select * from table1,table2 where table1.id=table2.id
Execute your query using dataadapter and load into the dataset.
use the below code for save dataset as xml.
DataSet myds = new DataSet();
......Readdata using dataadpter
.......fill in To dataset
myds.WriteXml ("c:\\test.xml");